Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.
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0.7-6 by Bernhard Pfaff, 9 months ago
Browse source code at https://github.com/cran/gogarch
Authors: Bernhard Pfaff [aut, cre]
Documentation: PDF Manual
GPL (>= 2) license
Depends on methods, stats, graphics, fGarch, fastICA
See at CRAN